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Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets

Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...

Persistent link: https://www.econbiz.de/10012219567

Impact of energy-related discussions on post-filing volatility and returns in the U.S.

Pathak, Jalaj; Hammoudeh, Shawkat - In: Energy economics 125 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014484445

Market-wide herding and the impact of institutional investors in the Indian capital market

Lakshman M. V.; Basu, Sankarshan; Vaidyanathan, Ravi - In: Journal of emerging market finance 12 (2013) 2, pp. 197-237

Persistent link: https://www.econbiz.de/10010361579

Modeling the commodity prices of base metals in Indian commodity market using a higher order Markovian approach

Nag, Suryadeepto; Basu, Sankarshan; Chakrabarty, … - In: Journal of quantitative economics 20 (2022) 1, pp. 159-171

Persistent link: https://www.econbiz.de/10013167352

Do precious metals hedge crude oil volatility jumps?

Das, Debojyoti; Bhatia, Vaneet; Kumar, Surya Bhushan; … - In: International review of financial analysis 83 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013455150

Financial stress and crude oil implied volatility : new evidence from continuous wavelet transformation framework

Das, Debojyoti; Maitra, Debasish; Dutta, Anupam; Basu, … - In: Energy economics 115 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013541818